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Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Cointegrated Vector Autoregression -stable Approximate Bayesian Computation
2010/10/21
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information
2010/12/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multipl...